A discounted approach in communicating average Markov decision chains under risk-aversion

DOI10.1007/s10957-020-01758-yzbMath1461.93551OpenAlexW3092490451MaRDI QIDQ2025296

Rolando Cavazos-Cadena, Julio Saucedo-Zul, Hugo Cruz-Suárez

Publication date: 11 May 2021

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-020-01758-y

zbMATH Keywords

fixed pointcompact supportexponential utilitycontractive operatorequivalence of inferior and superior limit average criteria

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (3)

Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes ⋮ Contractive approximations in average Markov decision chains driven by a risk-seeking controller ⋮ Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space

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